It was a link only when it was linking to an "accounts" tab on site's profile itself, like the other links are. Now that it links to StackExchange.com instead, it is different from the other links.
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Jeremy BanksSep 4 '12 at 15:31

@TheElementofMagic but... it took me a lot of work to be able to merge sad+angry+worried in a single smiley
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ajax333221Sep 4 '12 at 15:37

1 Answer
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As The Element of Magic said, that link is for a page that is external to the site you are in, while the other links you are referring are for pages in the site you are visiting.

Talking of consistency, all the links in that block takes you to external sites, and they have an icon. I don't see why that particular link (which takes you to an external site) should not have an icon.